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Limit theorems for multipower variation in the presence of jumps


Ole E. Barndorff-Nielsen: Department of Mathematical Sciences,
University of Aarhus


Neil Shephard: Nuffield College, University of Oxford


Matthias Winkel: Department of Statistics, University of Oxford, 




In this paper we provide a systematic study of the robustness of probability limits and central limit theory for realised multipower variation when we add finite activity and infinite activity jump processes to an underlying Brownian semimartingale. 



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